Financial institution that offers services like
savings accounts, loans, and investment opportunities. Senior
quantitative officer Functieomschrijving - Conduct backtesting,
maintenance, and further development of rating, PD, and LGD models
used in the calculation of IFRS 9 Expected Credit Loss (ECL)
provisions, in collaboration with external modeling partners -
Contribute to the design and execution of simulations and stress
tests on credit risk, interest rate risk (banking book), liquidity
risk, and capital adequacy, supporting business planning, ICAAP
& ILAAP exercises, and ad hoc needs. Also responsible for
maintaining and developing end-user stress testing tools. - Support
the backtesting, maintenance, and enhancement of internal models
related to prepayment risk for mortgage loans (CPR) and
non-maturity deposits (NMD). - Ensure proper implementation of
regulatory reporting requirements (e.g., COREP, including the CRR3
standardized approach for credit risk), and perform regular
documented quality controls on both regulatory and internal risk
reports. - Collaborate closely with first-line stakeholders in
Credit, ALM & Treasury, and Finance, ensuring effective data
management and accurate risk and regulatory reporting. Profiel -
You have at least 10 years of hands-on experience in a financial
institution, focusing on measurement, modeling, stress testing, and
reporting of key financial risks in a retail banking environment. -
You are analytical and quantitatively minded, with strong expertise
in modeling techniques and solid knowledge of tools such as Excel,
R, Python, Power BI, and SQL. - You have a deep understanding of
the regulatory framework and reporting requirements related to
retail credit risk, IRRBB/CSRBB, liquidity risk, and standardized
capital requirements. - You are particularly familiar with credit
risk modeling (mortgage and investment loans) and the IFRS 9 ECL
framework. - You can translate complex analyses and findings into
clear and actionable insights and communicate them effectively. -
You are flexible and stress-resistant, able to handle multiple risk
areas and collaborate across departments, contributing to the
integration and alignment of risk management within a broader risk
governance framework. - You are fluent in both Dutch and French,
written and spoken. Aanbod Attractive package